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Sensitivity results in stochastic optimal control: A Lagrangian perspective - MaRDI portal

Sensitivity results in stochastic optimal control: A Lagrangian perspective (Q2963496)

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Sensitivity results in stochastic optimal control: A Lagrangian perspective
scientific article

    Statements

    title
    Sensitivity results in stochastic optimal control: A Lagrangian perspective (English)
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    publication date
    14 February 2017
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    zbMATH Keywords
    stochastic control
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    Pontryagin's maximum principle
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    Lagrange multipliers
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    sensitivity analysis
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    LQ problems
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    mean variance portfolio selection problem
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    cites work
    Q4503250
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    Q4726159
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    Q3992729
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    Q4002114
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    Q4368791
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    Q4226355
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    Q4255599
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    Q3986626
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    Identifiers

    DOI
    10.1051/cocv/2015039
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    Mathematics Subject Classification ID
    93E20
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    49Q12
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    47J30
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    49N10
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    49K45
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    91G10
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    zbMATH DE Number
    6684480
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    OpenAlex ID
    W2470593971
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